Well, generally speaking, the condition of the cat's skin and coat can be an indication of its health. As for the exact properties, they can vary between breeds, but I guess you could say an oily coat is not something that you would expect in an healthy cat. It can be a nutritional problem or some other medical problem.
I know that Sphynx cats
tend to have oily skin, but that's because they hardly have any hair on them, so the natural oil produced by their glands stays on the skin itself. That's why they require frequent sponge baths.